US TSY FUTURES: Mix Of Net Short Setting & Long Cover Seen On Tuesday
OI data points to a mix of net short setting (FV, TY & US) & long cover (TU, UXY & WN) as Tsy futures ticked lower on Tuesday, with the former being more prominent (~$2.4mln DV01 net short exposure added across the curve).
| 06-Jan-26 | 05-Jan-26 | Daily OI Change | OI DV01 Equivalent Change ($) |
TU | 4,567,602 | 4,569,157 | -1,555 | -60,066 |
FV | 6,734,954 | 6,731,990 | +2,964 | +129,764 |
TY | 5,530,984 | 5,513,165 | +17,819 | +1,190,234 |
UXY | 2,573,023 | 2,577,499 | -4,476 | -403,756 |
US | 1,868,745 | 1,856,740 | +12,005 | +1,668,639 |
WN | 2,092,516 | 2,093,420 | -904 | -163,634 |
|
| Total | +25,853 | +2,361,181 |
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ECB: Kazimir Pushes Back Against Further Cuts, Cites Slower Wage Moderation
ECB's Kazimir with in a Reuters exclusive interview:
- "ECB'S KAZIMIR: FX PASS THROUGH TO PRICES MAY NOT BE AS STRONG AS EXPECTED"
- • "I SEE NO REASON TO CHANGE RATES IN THE COMING MONTHS, DEFINITELY NO IN DECEMBER"
Not a surprising set of comments from Kazimir, generally considered a hawkish leaning member of the Governing Council.
- He also warned against "overengineering" policy around small inflation deviations - consistent with his remarks on November 3.
- Meanwhile, possibly in reaction to last week's stronger-than-expected compensation per employee data: "The labour market remains tight, growth is a bit better and wage moderation is somewhat slower than we expected,"
OUTLOOK: Price Signal Summary - Bull Cycle In EUROSTOXX 50 Remains Intact
- In the equity space, a bullish theme in S&P E-Minis is intact. Price remains above the 20- and 50- day EMAs. Note that recent gains signal the likely end of the corrective cycle between Oct 30 and Nov 21. A continuation higher would highlight potential for a move towards the key resistance and bull trigger at 6953.75, the Oct 30 high. Key support lies at 6525.00, the Nov 21 low. First support is at 6797.09, the 20-day EMA.
- A bull cycle in EUROSTOXX 50 futures remains intact. Price has recently cleared the 20- and 50-day EMAs, signalling scope for a stronger recovery. Sights are on 5742.40 next (pierced), the 76.4% retracement of the Nov 13 - 21 bear leg. Clearance of this price point would pave the way for an extension towards 5825.00, the Nov 13 high and a key resistance. First key support lies at 5621.75, the 50-day EMA
SOFR OPTIONS: SFRH6 96.5625/96.4375/96.1875 Broken Put Fly Blocked
Latest block trade lodged at 10:33:47 London/05:33:47 NY:
• SFRH6 96.5625/96.4375/96.1875 broken put fly 4.3K lots blocked at 0.00, CME email points to a buyer of the wings.
